4 papers · 1 filter
Gamma mixed fractional Lévy Ornstein-Uhlenbeck process
Héctor Araya, Johanna Garzón, Rolando Rubilar
In this article, we introduce a non Gaussian long memory process constructed by the aggregation of independent copies of a fractional Lévy Ornstein-Uhlenbeck process with random co…
Fractional stochastic differential equation with discontinuous diffusion
Johanna Garzón, Jorge A. León, Soledad Torres
In this paper we study a stochastic differential equation driven by a fractional Brownian motion with a discontinuous coefficient. We also give an approximation to the solution of…
Approximations of Fractional Stochastic Differential Equations by Means of Transport Processes
J. Garzón, L. G. Gorostiza, J. A. León
We present strong approximations with rate of convergence for the solution of a stochastic differential equation of the form where , $…
Convergence to Weighted Fractional Brownian Sheets
Johanna Garzón
We define weighted fractional Brownian sheets, which are a class of Gaussian random fields with four parameters that include fractional Brownian sheets as special cases, and we giv…